Identifying Demand Curves in Index Option Markets

• 成果类型: Article; Early Access
• 署名作者: Jacobs, Kris; Mai, Anh Thu; Pederzoli, Paola
• 署名单位: University of Houston System; University of Houston; Purdue University System; Purdue University Northwest
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.04263
• 发表日期: 2026
• 关键词: latent demand; elasticity; INDEX OPTIONS; Intermediaries; pure-sign restricted VAR; COVID crisis

摘要

We identify latent demands in index option markets using a sign-restricted vector autoregression (VAR) and highlight the bias from treating (equilibrium) net demand as exogenous. Market-maker and end-user demand curves are far from infinitely elastic as assumed by some models, but elasticities exceed existing estimates for equities. Characterizing demand curves provides insights into the structure of index option markets. Deteriorating market conditions are associated with right shifts of the latent demand curves. The at-the-money (ATM) (out-of-the-money (OTM)) markets for calls and puts are mainly driven by end-user (market-maker) demand, and end-user (market-maker) ATM (OTM) call option demand predicts S&P500 returns.